Relative image URLs won't fly this way, either make them absolute (I'd recommend this), or wrap the image path with {{ url("path-to-img") }}. You are getting 200 OK code because the http server still resolves the request, probably to index/index which is text/html (you can check that with the network debug tab in your browser).

To view this image, you'd have to use this absolute url: /jeux/[jeu_name]/perdu/header_mobile.png (substitute [jeu_name] ofc)
If you type this in your browser and get 404 error, then you have some problem with your web server, not Phalcon